Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.1346
Annualized Std Dev 0.4071
Annualized Sharpe (Rf=0%) -0.3307

Row

Daily Return Statistics

Close
Observations 4086.0000
NAs 1.0000
Minimum -0.4025
Quartile 1 -0.0082
Median 0.0004
Arithmetic Mean -0.0002
Geometric Mean -0.0006
Quartile 3 0.0084
Maximum 0.3343
SE Mean 0.0004
LCL Mean (0.95) -0.0010
UCL Mean (0.95) 0.0006
Variance 0.0007
Stdev 0.0256
Skewness -1.2309
Kurtosis 53.2160

Downside Risk

Close
Semi Deviation 0.0190
Gain Deviation 0.0199
Loss Deviation 0.0232
Downside Deviation (MAR=210%) 0.0229
Downside Deviation (Rf=0%) 0.0191
Downside Deviation (0%) 0.0191
Maximum Drawdown 0.9756
Historical VaR (95%) -0.0311
Historical ES (95%) -0.0598
Modified VaR (95%) -0.0231
Modified ES (95%) -0.0231
From Trough To Depth Length To Trough Recovery
2014-09-04 2020-03-18 NA -0.9756 1648 1394 NA
2007-05-14 2008-11-21 2013-04-11 -0.6321 1489 388 1101
2005-08-04 2005-12-29 2006-11-20 -0.1898 328 103 225
2013-05-13 2013-11-13 2014-06-27 -0.1625 285 130 155
2006-12-07 2007-01-16 2007-02-01 -0.0887 37 25 12

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA NA NA NA NA NA -0.2 -0.2
2005 0.1 0.5 -2 0.2 2.1 0 1.6 0.3 1.1 -0.9 -1 0.2 2
2006 -0.1 0.7 1 0.3 1 -0.3 0.8 1 1.8 1 2 -0.4 9.4
2007 1.7 -0.7 1.8 0.2 0.6 -1.5 -1.9 2.9 -1.1 -0.4 -0.1 0.4 1.9
2008 2.3 -0.5 1.3 2.5 0.8 -2 1.2 -1.3 -0.2 -0.1 -1.1 -1.3 1.8
2009 0.1 -1.2 1.6 4.4 -2.6 -6.4 -1.6 -3.5 -3.7 0.3 0.9 -0.6 -12.1
2010 -0.1 -1.6 2.9 0 -1 -1.8 1.1 0.5 0.2 -0.1 0 0.3 0.3
2011 0 -0.4 1.8 0.8 -0.5 0.6 -0.3 0.1 -0.4 -2.1 0 -0.5 -1
2012 0 0.8 -0.2 -0.3 -1.9 2.3 1 0.3 0 0.7 0.1 -0.1 2.6
2013 0.5 0 1.4 0.7 -1.5 0.5 1.1 0.2 -0.2 0 0.7 0.1 3.6
2014 0.5 0.8 0.5 0 0.1 0 -0.8 0.3 -1.4 0.6 -5.1 -0.3 -4.9
2015 -0.1 0.2 -1.8 -0.1 -0.6 0 0.7 0.2 1 1 0.1 5.3 5.8
2016 -4.2 1.2 -2 0.2 1.2 -0.3 -2 1 0.3 -0.8 0.2 -0.7 -5.8
2017 3.5 0.9 1 0 0.7 2.6 -0.2 2.4 1.1 1.4 4 0.8 19.8
2018 2.2 -1.3 1.3 0.3 0.4 1.5 0.8 -0.6 1.6 1.2 2.1 1.5 11.5
2019 1.2 -1.3 1.1 -0.2 -0.4 0.8 -2 1.1 -1.2 1.3 0.1 0.6 1.2
2020 -0.9 -1.9 -2.4 -5.5 1.4 -2.2 -0.7 -0.7 -2.1 -1.5 -2.8 -1 -18.7
2021 0.3 5.9 1.6 NA NA NA NA NA NA NA NA NA 7.9

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart